switzerlanden
Successful factors to select outperforming corporate bonds

Successful factors to select outperforming corporate bonds

15-11-2001 | Research

Can outperforming corporate bonds be selected systematically just the same way stocks can be? Our research shows it works.

  • Erik van Leeuwen
    Erik
    van Leeuwen
    Head of FI Business Development

Speed read

  • We present a method to select corporate bonds systematically
  • We combine the most promising variables into one strategy.
  • Results are robust to several sensitivity tests
Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe

This study presents a method to select corporate bonds that outperform the corporate bond market as a whole. The approach has many similarities to the well-investigated field of stock selection strategies. The literature suggests several variables that are successful for the selection of outperforming stocks.

The filters we investigate to select outperforming bonds will be even more useful because the fixed-income universe is so much larger, with more than 10,000 issues available. We test equity-related and bond-specific variables for selecting outperforming corporate bonds. After testing all the individual variables, we combine the most promising variables into one strategy.

They achieve better-than-average performance in a corporate bond portfolio if they select bonds with a high spread valuation, a low spread return in recent months, and positive equity earnings revisions. The promising results are robust to several sensitivity tests.

1 Hottinga, J., Van Leeuwen, E. and Van Ijserloo, J., 2001, ‘Successful factors to select outperforming corporate bonds’, The Journal of Portfolio Management.

Disclaimer:

This report is not available for users from countries where the offering of foreign financial services is not permitted, such as US Persons.

Your details are not shared with third parties. This information is exclusively intended for professional investors. All requests are checked.

Logo

Important legal information

The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.

The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.

Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is ACOLIN Fund Services AG, Affolternstrasse 56, 8050 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/RobecoSAM AG product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/RobecoSAM AG offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.

This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.

I Disagree